Author : Robin Braun
Publisher :
Page : 0 pages
File Size : 41,27 MB
Release : 2019
Category :
ISBN :
[PDF] Three Essays On Identification In Structural Vector Autoregressive Models eBook
Three Essays On Identification In Structural Vector Autoregressive Models Book in PDF, ePub and Kindle version is available to download in english. Read online anytime anywhere directly from your device. Click on the download button below to get a free pdf file of Three Essays On Identification In Structural Vector Autoregressive Models book. This book definitely worth reading, it is an incredibly well-written.
Three Essays on Identification and Dimension Reduction in Vector Autoregressive Models
Author : Dominik Bertsche
Publisher :
Page : 0 pages
File Size : 15,72 MB
Release : 2020
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ISBN :
Three Essays on Structural Vector Error Correction Models with Short-run and Long-run Restrictions
Author : Kyungho Jang
Publisher :
Page : 214 pages
File Size : 15,17 MB
Release : 2002
Category :
ISBN :
Impulse response analysis requires the imposition of restrictions on the estimated system in order to identify a shock. Short-run restrictions such that monetary policy does not contemporaneously affect real Gross Domestic Production have been often used. Many economic models, however, imply long-run relations among economic variables (or long-run restrictions such that monetary policy does not affect output in the long period) rather than short-run restrictions. Therefore, empirical results based on long-run restrictions may be more consistent with economic theory than those based on short-run restrictions.
Essays on Implementation, Assessment and Application of Structural Vector Autoregressive Models
Author : Alexander Lange
Publisher :
Page : 0 pages
File Size : 41,3 MB
Release : 2021
Category :
ISBN :
Unconventional Identification in Vector Autoregressive Models: Empirical Essays on Credit, Risk and Uncertainty
Author : Maximilian Podstawski
Publisher :
Page : pages
File Size : 34,1 MB
Release : 2016
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ISBN :
Three Essays in Time Series Econometrics
Author : Christian Kascha
Publisher :
Page : 97 pages
File Size : 40,40 MB
Release : 2007
Category : Econometrics
ISBN :
Three Essays on Long Memory Tests for Persistence in Volatility and Structural Vector Autoregression Modeling of Real Exchange Rates
Author : Osman Kubilay Gursel
Publisher :
Page : 218 pages
File Size : 49,92 MB
Release : 2002
Category :
ISBN :
In the first chapter the performance of two of the long memory tests, the Modified Rescaled Range Test and Geweke and Porter-Hudak Test for persistence in small samples is examined using Monte-Carlo methods. Some possible candidates for persistence in volatility are Autoregressive Conditional Heteroskedasticity (ARCH), Markov Regime Switching ARCH, and long memory. The long memory series are simulated through a Semi-Markov process with Pareto waiting times and lognormal realizations. The persistence in volatility arising from transition waiting probabilities for a Markov Regime Switching process, and from the tail index of the waiting time distribution for the Semi-Markov process is established through simulations with different parameter values. There is evidence that persistence in a regime switching process is closely linked to state transition probabilities and waiting times. The second chapter re-examines what structural vector autoregressive modeling of real exchange rates with differenced variables tells us about interesting macroeconomic questions. Using quarterly data from G-7 countries in the post Bretton-Woods period, the evidence suggests that shock identification is not an easy process in a Blanchard and Quah decomposition framework with long run restrictions. Confidence bands do not find significant impulse responses and the signs of the estimated impulse responses are very sensitive to the lag selection criteria adopted. Possible cointegration effects seem to be the main driving force behind the unsatisfactory performance of the structural approach. Chapter three extends the structural vector autoregression model by incorporating cointegration effects. Using the method of Warne (1993), in a simple four-variable vector autoregression (VAR) characterized by cointegration, the response of real exchange rates to various economic shocks are investigated with economically plausible long-run restrictions. The long-run relations and driving stochastic trends of the real exchange rate between United States and other G-7 countries are analyzed in a structural cointegrated framework. Productivity shocks depreciate the real exchange rate and the perverse sign effect of supply shock is corrected for most countries in the sample. More significant impulse responses are observed through confidence intervals. The structural vector error correction decompositions are also found to be not robust to estimating with different lag lengths owing to additional cointegration effects.
Essays on Alternative Methods of Identification and Estimation of Vector Autoregressive Moving Average Models
Author : George Athanasopoulos
Publisher :
Page : 470 pages
File Size : 16,93 MB
Release : 2005
Category : Autoregression (Statistics)
ISBN :
Identification of Vector Autoregressive Models with Nonlinear Contemporaneous Structure
Author : Francesco Cordoni
Publisher :
Page : 0 pages
File Size : 10,8 MB
Release : 2023
Category :
ISBN :
We propose a statistical identification procedure for structural vector autoregressive (VAR) models that present a nonlinear dependence (at least) at the contemporaneous level. By applying and adapting results from the literature on causal discovery with continuous additive noise models to structural VAR analysis, we show that a large class of structural VAR models is identifiable. We spell out these specific conditions and propose a scheme for the estimation of structural impulse response functions in a nonlinear setting. We assess the performance of this scheme in a simulation experiment. Finally, we apply it in a study on the effects of monetary policy on the economy.
Essays in Honour of Fabio Canova
Author : Juan J. Dolado
Publisher : Emerald Group Publishing
Page : 203 pages
File Size : 42,43 MB
Release : 2022-09-21
Category : Business & Economics
ISBN : 1803828315
Both parts of Volume 44 of Advances in Econometrics pay tribute to Fabio Canova for his major contributions to economics over the last four decades.